Katerina Petrova : Citation Profile

Barcelona School of Economics (BSE) (34% share)
Barcelona School of Economics (BSE) (33% share)
Federal Reserve Bank of New York (33% share)

5

H index

3

i10 index

110

Citations

RESEARCH PRODUCTION:

10

Articles

13

Papers

1

Chapters

RESEARCH ACTIVITY:

   9 years (2015 - 2024). See details.
   Cites by year: 12
   Journals where Katerina Petrova has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 10 (8.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe1057
   Updated: 2026-02-21    RAS profile: 2024-10-09    
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Relations with other researchers

Works with:

Kapetanios, George (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Katerina Petrova.

Is cited by:

Baruník, Jozef (9)

Yan, Yayi (5)

ferroni, filippo (5)

GAO, Jiti (4)

Paccagnini, Alessia (4)

Gabauer, David (4)

GUPTA, RANGAN (4)

Kočenda, Evžen (3)

Louri, Helen (3)

Furlanetto, Francesco (3)

Cross, Jamie (3)

Cites to:

Kapetanios, George (19)

Canova, Fabio (16)

Primiceri, Giorgio (15)

Smets, Frank (14)

Wouters, Raf (14)

Rubio-Ramirez, Juan F (13)

Sims, Christopher (13)

Zha, Tao (13)

Schorfheide, Frank (10)

Koop, Gary (8)

Reichlin, Lucrezia (8)

Main data

Where Katerina Petrova has published?

Journals with more than one article published# docs
Journal of Econometrics3

Working Papers Series with more than one paper published# docs
Staff Reports / Federal Reserve Bank of New York3
Bank of England working papers / Bank of England2

Recent works citing Katerina Petrova (2025 and 2024)

YearTitle of citing document
2024Time-Varying Parameters as Ridge Regressions. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2009.00401.

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2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

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2024Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218.

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2024Structural Analysis of Vector Autoregressive Models. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2025Exploring Monetary Policy Shocks with Large-Scale Bayesian VARs. (2025). Korobilis, Dimitris. In: Papers. RePEc:arx:papers:2505.06649.

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2025Monetary policy and earnings inequality: inflation dependencies. (2025). Rottner, Matthias ; Merikll, Jaanika. In: BIS Working Papers. RePEc:bis:biswps:1271.

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2024Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility. (2024). Aastveit, Knut Are ; Cross, Jamie L ; van Dijk, Herman K ; Furlanetto, Francesco. In: Working Papers. RePEc:bny:wpaper:0130.

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2024Taylor Rules with Endogenous Regimes. (2024). Furlanetto, Francesco ; Cross, Jamie ; Aastveit, Knut Are ; van Dijk, Herman K. In: Working Papers. RePEc:bny:wpaper:0131.

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2024Moderation or indulgence? Effects of bank distribution restrictions during stress. (2024). Baruník, Jozef ; Katsoulis, Petros ; Barunik, Jozef ; Acosta-Smith, Jonathan ; Gerba, Eddie. In: Bank of England working papers. RePEc:boe:boeewp:1053.

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2024Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods. (2024). Koop, Gary ; Huber, Florian ; Gary, Koop ; Florian, Huber ; Niko, Hauzenberger. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:201-225:n:2.

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2025The Effect of Oil News Shocks on Job Creation and Destruction. (2025). Herrera, Ana Mara ; Hanson, Ryan. In: Working Papers. RePEc:cen:wpaper:25-06.

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2024Filtering with Limited Information. (2024). Fernandez-Villaverde, Jesus ; Drautzburg, Thorsten ; Guerron-Quintana, Pablo ; Oosthuizen, Dick. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11243.

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2024Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999.

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2024The economic impact of yield curve compression: Evidence from euro area forward guidance and unconventional monetary policy. (2024). Goodhead, Robert. In: European Economic Review. RePEc:eee:eecrev:v:164:y:2024:i:c:s001429212400045x.

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2024Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407.

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2025Regional bank failures and volatility transmission. (2025). Wiesen, Thomas ; Lastrapes, William D. In: Journal of Financial Stability. RePEc:eee:finsta:v:78:y:2025:i:c:s1572308925000336.

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2025Has globalization changed the international transmission of U.S. monetary policy?. (2025). Boeck, Maximilian ; Mori, Lorenzo. In: Journal of International Economics. RePEc:eee:inecon:v:157:y:2025:i:c:s0022199625000960.

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2024Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness. (2024). Sila, Jan ; Kočenda, Evžen ; Kukacka, Jiri ; Kristoufek, Ladislav ; Kocenda, Evzen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:96:y:2024:i:c:s1042443124001288.

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2024DeepTVAR: Deep learning for a time-varying VAR model with extension to integrated VAR. (2024). Li, Xixi ; Yuan, Jingsong. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1123-1133.

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2025Time-varying parameters as ridge regressions. (2025). Coulombe, Philippe Goulet. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:982-1002.

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2025Event-driven changes in volatility connectedness in global forex markets. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:77:y:2025:i:c:s1042444x24000616.

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2024Parameter instabilities and monetary policy in a small open economy: Evidence from an estimated model for the UK. (2024). Zamarripa, Rene. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006178.

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2025Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis. (2025). Kočenda, Evžen ; Albrecht, Peter ; de Oliveira, Alexandre Silva ; Koenda, Even ; Ceretta, Paulo Sergio ; Drbek, Michal. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000376.

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2024The dynamic effects of oil supply shock on China: Evidence from the TVP-Proxy-VAR approach. (2024). Lee, Chien-Chiang ; Huang, Yuzhe ; Pan, Changchun. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124002258.

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2025Higher-order Moment Inequality Restrictions for SVARs. (2025). Melosi, Leonardo ; ferroni, filippo ; Andrade, Philippe. In: Working Papers. RePEc:fip:fedbwp:99752.

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2025Inflation Disagreement Weakens the Power of Monetary Policy. (2024). Wei, Min ; Wang, Pengfei ; Liu, Zheng ; Dong, Ding. In: Working Paper Series. RePEc:fip:fedfwp:98689.

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2024Inflation Disagreement Weakens the Power of Monetary Policy. (2024). Wei, Min ; Wang, Pengfei ; Liu, Zheng ; Dong, Ding. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-94.

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2025Uniform Inference with General Autoregressive Processes. (2025). Petrova, Katerina ; Magdalinos, Tassos. In: Staff Reports. RePEc:fip:fednsr:99905.

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2025Component-Based Dynamic Factor Nowcast Model. (2025). Petrova, Katerina ; Okeeffe, Hannah. In: Staff Reports. RePEc:fip:fednsr:99906.

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2025Moderate Time-Varying Parameter VARs. (2025). Pedini, Luca ; Celani, Alessandro. In: Working Papers. RePEc:hhs:oruesi:2025_016.

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2024Bayesian Local Likelihood Estimation of Time-Varying DSGE Models: Allowing for Indeterminacy. (2024). Wu, Jinshun. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:4:d:10.1007_s10614-023-10478-0.

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2025Crude oil, forex, and stock markets: unveiling the higher-order moment and cross-moment risk spillovers in times of turmoil. (2025). Maghyereh, Aktham ; Cui, Jinxin ; Ziadat, Salem. In: Humanities and Social Sciences Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-05308-7.

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2024Asymmetric connectedness between conventional and Islamic cryptocurrencies: Evidence from good and bad volatility spillovers. (2024). Gabauer, David ; Darehshiri, Sahar ; Asl, Mahdi Ghaemi ; Bouri, Elie. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00636-0.

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2024Spillovers of good and bad volatility in Asian emerging markets: insights from global and regional perspectives. (2024). Baba, Boubekeur. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:48:y:2024:i:4:d:10.1007_s12197-024-09696-5.

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2024Taylor Rules with Endogenous Regimes. (2024). Furlanetto, Francesco ; Cross, Jamie ; Aastveit, Knut Are ; van Dijk, Herman K. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240030.

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2024Asymmetric Gradualism in US Monetary Policy. (2024). Furlanetto, Francesco ; Cross, Jamie ; van Dijk, Herman K ; Aastveit, Knut Are. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240074.

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2024A Unified Theory for Arma Models with Varying Coefficients: One Solution Fits All.. (2024). Canepa, Alessandra ; Karanasos, Menelaos ; Magdalinos, Anastasios ; Paraskevopoulos, Alexandros. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202413.

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2024The macroeconomy as a random forest. (2024). Goulet Coulombe, Philippe. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:3:p:401-421.

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2025Exchange Rates, Uncovered Interest Parity, and Time‐Varying Fama Regressions. (2025). Haque, Qazi ; Li, Mengheng ; Fu, Bowen. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:40:y:2025:i:3:p:310-324.

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2024Higher-Order Moment Inequality Restrictions for SVARs. (2024). ferroni, filippo ; Andrade, Philippe ; Melosi, Leonardo. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1537.

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2025Moment matching for Bayesian inference in the baseline New-Keynesian model. (2025). Sacht, Stephen ; Jang, Tae-Seok. In: HWWI Working Paper Series. RePEc:zbw:hwwiwp:315485.

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Works by Katerina Petrova:

YearTitleTypeCited
2022Uniform and Distribution-Free Inference with General Autoregressive Processes In: Working Papers.
[Full Text][Citation analysis]		paper4
2019Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2017A time varying parameter structural model of the UK economy In: Bank of England working papers.
[Full Text][Citation analysis]		paper12
2019A time-varying parameter structural model of the UK economy.(2019) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2019Time-varying cointegration and the UK great ratios In: Bank of England working papers.
[Full Text][Citation analysis]		paper0
2018Time Varying Cointegration and the UK Great Ratios.(2018) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2018Time varying cointegration and the UK Great Ratios.(2018) In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2020Time-varying cointegration with an application to the UK Great Ratios In: Economics Letters.
[Full Text][Citation analysis]		article3
2019A quasi-Bayesian local likelihood approach to time varying parameter VAR models In: Journal of Econometrics.
[Full Text][Citation analysis]		article48
2022Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
2023Scalable inference for a full multivariate stochastic volatility model In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2021Kernel-based Volatility Generalised Least Squares In: Econometrics and Statistics.
[Full Text][Citation analysis]		article0
2016A time varying DSGE model with financial frictions In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article16
2015A Time Varying DSGE Model with Financial Frictions.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2022Monetary Policy Across Space and Time In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter5
2019Monetary Policy across Space and Time.(2019) In: Richmond Fed Economic Brief.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2018Monetary Policy across Space and Time.(2018) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2024Monetary Policy across Inflation Regimes In: Staff Reports.
[Full Text][Citation analysis]		paper7
2024On the Validity of Classical and Bayesian DSGE-Based Inference In: Staff Reports.
[Full Text][Citation analysis]		paper1
2024OLS Limit Theory for Drifting Sequences of Parameters on the Explosive Side of Unity In: Staff Reports.
[Full Text][Citation analysis]		paper1
2015A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2018Changing impact of shocks: a time-varying proxy SVAR approach In: Working Papers.
[Full Text][Citation analysis]		paper3
2023Changing Impact of Shocks: A Time‐Varying Proxy SVAR Approach.(2023) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2022Uniform and distribution-free inference with general autoregressive processes In: Economics Working Papers.
[Full Text][Citation analysis]		paper4

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